Details about Stanislav Anatolyev

Access statistics for papers by Stanislav Anatolyev.

Last updated 2009-11-02. Update your information in the RePEc Author Service.

Short-id: pan48

Working Papers

2009

1. Inference in Regression Models with Many Regressors
   Working Papers, Center for Economic and Financial Research (CEFIR)

2008

2. Sequential Testing with Uniformly Distributed Size
   Working Papers, Center for Economic and Financial Research (CEFIR)
3. Specification Testing in Models with Many Instruments
   Working Papers, Center for Economic and Financial Research (CEFIR)

2007

4. Inference about predictive ability when there are many predictors
   Working Papers, Center for Economic and Financial Research (CEFIR)
5. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
   Also in Working papers, Wisconsin Madison - Social Systems (2001)
   NBER Working Papers, National Bureau of Economic Research, Inc (2007)
   See also Journal Article in Econometric Reviews (2009)
6. Modeling Financial Return Dynamics by Decomposition
   Working Papers, Center for Economic and Financial Research (CEFIR) View citations

2006

7. Dynamic modeling under linear-exponential loss
   Working Papers, Center for Economic and Financial Research (CEFIR)
   See also Journal Article in Economic Modelling (2009)
8. Nonparametric retrospection and monitoring of predictability of financial returns
   Working Papers, Center for Economic and Financial Research (CEFIR) View citations
   See also Journal Article in Journal of Business & Economic Statistics (2009)
9. Tests in contingency tables as regression tests
   Working Papers, Center for Economic and Financial Research (CEFIR)
10. Trade intensity in the Russian stock market:dynamics, distribution and determinants
    Working Papers, Center for Economic and Financial Research (CEFIR)
    See also Journal Article in Applied Financial Economics (2007)

2005

11. A ten-year retrospection of the behavior of Russian stock returns
    BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition View citations
12. Optimal Instruments in Time Series: A Survey
    Working Papers, Center for Economic and Financial Research (CEFIR)
    See also Journal Article in Journal of Economic Surveys (2007)

1999

13. Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    Also in Working papers, Wisconsin Madison - Social Systems (1999)

Journal Articles

2009

1. Dynamic modeling under linear-exponential loss
   Economic Modelling, 2009, 26, (1), 82-89
   See also Working Paper (2006)
2. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
   Econometric Reviews, 2009, 28, (5), 441-467
   See also Working Paper (2007)
3. Multi-Market Direction-of-Change Modeling Using Dependence Ratios
   Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1)
4. Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
   Journal of Business & Economic Statistics, 2009, 27, (2), 149-160
   See also Working Paper (2006)
5. Nonparametric regression (in Russian)
   Quantile, 2009, (7), 37-52
6. Where to find data on the Web? (in Russian)
   Quantile, 2009, (6), 59-71

2008

7. A 10-year retrospective on the determinants of Russian stock returns
   Research in International Business and Finance, 2008, 22, (1), 56-67
8. Making econometric reports (in Russian)
   Quantile, 2008, (4), 71-78
9. Method-of-moments estimation and choice of instruments: Numerical computations
   Economics Letters, 2008, 100, (2), 217-220
10. Review of English textbooks in time series analysis (in Russian)
    Quantile, 2008, (5), 49-55

2007

11. OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
    Journal of Economic Surveys, 2007, 21, (1), 143-173
    See also Working Paper (2005)
12. Optimal instruments (in Russian)
    Quantile, 2007, (2), 61-69
13. REDUNDANCY OF LAGGED REGRESSORS REVISITED
    Econometric Theory, 2007, 23, (02), 364-368 View citations
14. Review of English textbooks in econometrics (in Russian)
    Quantile, 2007, (3), 73-82
15. The basics of bootstrapping (in Russian)
    Quantile, 2007, (3), 1-12
16. Trade intensity in the Russian stock market: dynamics, distribution and determinants
    Applied Financial Economics, 2007, 17, (2), 87-104 View citations
    See also Working Paper (2006)
17. Using All Observations when Forecasting under Structural Breaks
    Finnish Economic Papers, 2007, 20, (2), 166-176

2006

18. Kernel estimation under linear-exponential loss
    Economics Letters, 2006, 91, (1), 39-43 View citations
19. Testing for predictability (in Russian)
    Quantile, 2006, (1), 39-42

2005

20. A Trading Approach to Testing for Predictability
    Journal of Business & Economic Statistics, 2005, 23, 455-461 View citations
21. AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
    Econometric Theory, 2005, 21, (02), 472-476
22. GMM, GEL, Serial Correlation, and Asymptotic Bias
    Econometrica, 2005, 73, (3), 983-1002 View citations

2004

23. Inference when a nuisance parameter is weakly identified under the null hypothesis
    Economics Letters, 2004, 84, (2), 245-254

2003

24. 02.5.2. Durbin Watson Statistic and Random Individual Effects
    Econometric Theory, 2003, 19, (05), 882-883
25. 02.6.2. Autoregression and Redundant Instruments Solution
    Econometric Theory, 2003, 19, (06), 1197-1198
26. 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression
    Econometric Theory, 2003, 19, (01), 225-226
27. THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
    Econometric Theory, 2003, 19, (04), 602-609 View citations
28. The term structure of Russian interest rates
    Applied Economics Letters, 2003, 10, (13), 867-870 View citations

2002

29. Electoral behavior of US counties: a panel data approach
    Economics Bulletin, 2002, 3, (9), 1-10
30. Markov chain approximation in bootstrapping autoregressions
    Economics Bulletin, 2002, 3, (19), 1-8

1999

31. Nonparametric estimation of nonlinear rational expectation models
    Economics Letters, 1999, 62, (1), 1-6 View citations

Editor

1. Quantile
   Quantile